[{"data":1,"prerenderedAt":44},["ShallowReactive",2],{"q-risk_mgmt-22-058":3},{"exam":4,"examName":5,"chapterSlug":6,"question":7,"related":22},"risk_mgmt","風險管理基本能力測驗——風險管理制度與實務","c7",{"id":8,"exam":4,"session":9,"qno":10,"question":11,"options":12,"answer":17,"chapter":18,"freq":19,"explanation":20,"difficulty":21},"risk_mgmt-22-058","22",58,"假設英國政府發行 5 年期純折扣債券，到期一次還本、面額 1 百萬英鎊，市場顯示相同風險等級之 5 年期殖利率為 6%。假設英鎊對美元為 1:1.3 時，英國公債之美元現值為下列何者（取最接近值）？",[13,14,15,16],"約 971,435","約 916,448","約 1,029,721","約 1,091,373",0,"商業銀行的市場風險管理",1,"純折扣債券期間不付息、到期一次還本，現值就是面額按市場殖利率折現：1,000,000÷(1＋6%)^5＝747,258 英鎊；再依即期匯率 1 英鎊兌 1.3 美元換算，747,258×1.3＝971,436 美元，取最接近值為 (A)。折現與換匯兩個步驟缺一不可，順序也不能顛倒。(B) 916,448 是把期數多折了一年、按六年折現的結果。(C) 1,029,721 則是只折現四年。(D) 大於面額換算值，方向根本不對——正殖利率下的純折扣債券必定折價交易，現值不可能超過到期還本金額。","hard",[23,27,31,35,38,41],{"id":24,"question":25,"qno":26},"risk_mgmt-20-008","有關市場風險的特性，下列敘述何者錯誤？",8,{"id":28,"question":29,"qno":30},"risk_mgmt-20-033","銀行通常從業務管理與風險管理兩方向訂定所需指標，以管理與監督市場風險之變化，下列敘述何者錯誤？",33,{"id":32,"question":33,"qno":34},"risk_mgmt-20-034","有關市場風險之管理指標，不包含下列何者？",34,{"id":36,"question":37,"qno":10},"risk_mgmt-20-058","假設債券部位的投資損失符合常態分配，單尾的容忍水準 2.5%當作損失門檻，殖利率的標準差為 0.5%，敏感性係數為 1 時，下列市場風險值(VaR)的敘述何者正確？",{"id":39,"question":40,"qno":30},"risk_mgmt-21-033","衡量市場風險時，主要部位或個別金融商品的「價格波動」，下列哪項指標是錯誤？",{"id":42,"question":43,"qno":34},"risk_mgmt-21-034","原來為 10,000 元的債券，敏感性係數為 5 時，殖利率上升 1 個基本點(Basis Point)，請問此時的債券價格應為多少元？",1785146816891]